Credit Derivatives Pricing Models: Models, Pricing and Implementation

3.75 avg rating
( 4 ratings by Goodreads )
 
9780470842911: Credit Derivatives Pricing Models: Models, Pricing and Implementation
View all copies of this ISBN edition:
 
 

The credit derivatives market is booming and, for the first time,expanding into the banking sector which previously has had verylittle exposure to quantitative modeling. This phenomenon hasforced a large number of professionals to confront this issue forthe first time. Credit Derivatives Pricing Models providesan extremely comprehensive overview of the most current areas incredit risk modeling as applied to the pricing of creditderivatives. As one of the first books to uniquely focus onpricing, this title is also an excellent complement to other bookson the application of credit derivatives. Based on proventechniques that have been tested time and again, this comprehensiveresource provides readers with the knowledge and guidance toeffectively use credit derivatives pricing models. Filled withrelevant examples that are applied to real-world pricing problems,Credit Derivatives Pricing Models paves a clear path for abetter understanding of this complex issue.


Dr. Philipp J. Schönbucher is a professor at the Swiss FederalInstitute of Technology (ETH), Zurich, and has degrees inmathematics from Oxford University and a PhD in economics from BonnUniversity. He has taught various training courses organized by ICMand CIFT, and lectured at risk conferences for practitioners oncredit derivatives pricing, credit risk modeling, andimplementation.

"synopsis" may belong to another edition of this title.

From the Back Cover:

Since its inception, the market for credit derivatives has shownimpressive growth and is expected to hit a volume of more than $4.8trillion by 2004. Credit derivatives have begun to transform modernbanking; they have become a standard instrument for the managementof default risk; they are being used for risk management andhedging as well as for speculation, balance-sheet management andregulatory capital purposes.

Despite their great usefulness, even established professionalsoften feel insecure when it comes to the quantitative analysis ofthe prices and risks of credit derivatives. Confronted with abewildering variety of fundamentally different pricing approaches,it can be very challenging to understand their relative advantagesand disadvantages and to choose the "correct" one for the problemat hand.

In this book, the author carefully explains the differentpricing models for credit derivatives in a veryapplication-oriented way. Based on his wide experience inprofessional training for credit derivatives analysis, the modelsare developed with a view to their application to real pricingproblems rather than just presenting the theory.

Philipp Schönbucher is one of the most talented researchersof his generation. He has taken the Credit Derivatives world bystorm. In this book he carefully explains the concepts and themathematics behind all of the most important and popular creditrisk models. Professor Schönbucher has filled an important gapon the quantitative finance bookshelf. –Paul Wilmott

The reader is presented with a clear, concise and readabletreatment of credit pricing models that will appeal topractitioners and academics. It provides a useful roadmap to themany daily challenges that face practitioners. It will become astandard reference.
–Stuart M. Turnbull, Senior Vice President, Fixed IncomeResearch, Lehman Brothers, NY

"This is the most comprehensive, and also the clearest, book onthe details of constructing credit risk models that I have read.Throughout, it is directly useful for general value-at-risk creditmodelling as well as its stated focus of credit derivatives.Readability is greatly enhanced by its step-by-step organizationacross what has grown to be a large topic area and the focus of itssingle author, as opposed to a collection of disjointed papers.Alternative modelling frameworks are written in a common notationand the reader is given all the details needed for directimplementation. The author, Philipp Schönbucher, is clearlyone of the top researchers in this area, even before the writing ofthis book." –Greg M Gupton, DefaultRisk.com

"Philipp addresses a wide range of modelling issues in the fastgrowing market of credit derivatives. He covers a broad spectrum oftopics starting with the simple everyday trading tools whilegradually building up to the more complex mathematical models. Itsuccessfully bridges the gap between academia and practice in anelegant and easy style, making it a valuable book for a wideaudience"  –Ebbe Rogge, Product Development Group,Financial Markets, ABN AMRO

From the Inside Flap:

In this book, Philipp Schönbucher covers all the importantmodelling approaches from hedge-based pricing tostochastic-intensity models, credit rating models and firm's valuebased models, concluding with a large chapter on portfolio creditrisk models. The author builds the models starting from simplebasic models, introducing complexity only where it is needed, andexplaining implementation, data collection and calibration on theway. The advantages and disadvantages of the different pricingapproaches are clearly confronted, and the effects of hiddenassumptions on the output of the models are identified.

The book is an indispensable tool for credit derivativestraders, quantitative analysts, software developers, risk managers,regulators, auditors, and anybody interested in how creditderivatives are priced.

"About this title" may belong to another edition of this title.

Top Search Results from the AbeBooks Marketplace

1.

Schönbucher, Philipp J.
Published by Wiley (2003)
ISBN 10: 0470842911 ISBN 13: 9780470842911
New Hardcover Quantity Available: 2
Seller:
Murray Media
(NORTH MIAMI BEACH, FL, U.S.A.)
Rating
[?]

Book Description Wiley, 2003. Hardcover. Condition: New. Never used!. Seller Inventory # P110470842911

More information about this seller | Contact this seller

Buy New
US$ 60.42
Convert currency

Add to Basket

Shipping: FREE
Within U.S.A.
Destination, rates & speeds

2.

Schönbucher, Philipp J.
Published by Wiley (2003)
ISBN 10: 0470842911 ISBN 13: 9780470842911
New Hardcover Quantity Available: 2
Seller:
Save With Sam
(North Miami, FL, U.S.A.)
Rating
[?]

Book Description Wiley, 2003. Hardcover. Condition: New. Brand New!. Seller Inventory # VIB0470842911

More information about this seller | Contact this seller

Buy New
US$ 60.73
Convert currency

Add to Basket

Shipping: FREE
Within U.S.A.
Destination, rates & speeds

3.

Schönbucher, Philipp J.
Published by Wiley
ISBN 10: 0470842911 ISBN 13: 9780470842911
New Hardcover Quantity Available: 1
Seller:
Cloud 9 Books
(Wellington, FL, U.S.A.)
Rating
[?]

Book Description Wiley. Hardcover. Condition: New. 0470842911 New Condition. Seller Inventory # NEW99.0243768

More information about this seller | Contact this seller

Buy New
US$ 69.99
Convert currency

Add to Basket

Shipping: US$ 4.99
Within U.S.A.
Destination, rates & speeds

4.

Philipp J. Schönbucher
ISBN 10: 0470842911 ISBN 13: 9780470842911
New Quantity Available: 1
Seller:
BennettBooksLtd
(San Diego, CA, U.S.A.)
Rating
[?]

Book Description Condition: New. New. Seller Inventory # STR-0470842911

More information about this seller | Contact this seller

Buy New
US$ 85.81
Convert currency

Add to Basket

Shipping: US$ 4.95
Within U.S.A.
Destination, rates & speeds

5.

Philipp J. Schönbucher
Published by Wiley (2003)
ISBN 10: 0470842911 ISBN 13: 9780470842911
New Hardcover Quantity Available: 1
Seller:
Irish Booksellers
(Portland, ME, U.S.A.)
Rating
[?]

Book Description Wiley, 2003. Condition: New. book. Seller Inventory # M0470842911

More information about this seller | Contact this seller

Buy New
US$ 99.88
Convert currency

Add to Basket

Shipping: US$ 3.27
Within U.S.A.
Destination, rates & speeds

6.

P.J. Schonbucher
Published by John Wiley and Sons Ltd, United Kingdom (2003)
ISBN 10: 0470842911 ISBN 13: 9780470842911
New Hardcover First Edition Quantity Available: 1
Seller:
Book Depository International
(London, United Kingdom)
Rating
[?]

Book Description John Wiley and Sons Ltd, United Kingdom, 2003. Hardback. Condition: New. 1. Auflage. Language: English. Brand new Book. The credit derivatives market is booming and, for the first time, expanding into the banking sector which previously has had very little exposure to quantitative modeling. This phenomenon has forced a large number of professionals to confront this issue for the first time. Credit Derivatives Pricing Models provides an extremely comprehensive overview of the most current areas in credit risk modeling as applied to the pricing of credit derivatives. As one of the first books to uniquely focus on pricing, this title is also an excellent complement to other books on the application of credit derivatives. Based on proven techniques that have been tested time and again, this comprehensive resource provides readers with the knowledge and guidance to effectively use credit derivatives pricing models. Filled with relevant examples that are applied to real-world pricing problems, Credit Derivatives Pricing Models paves a clear path for a better understanding of this complex issue. Dr. Philipp J. Schonbucher is a professor at the Swiss Federal Institute of Technology (ETH), Zurich, and has degrees in mathematics from Oxford University and a PhD in economics from Bonn University.He has taught various training courses organized by ICM and CIFT, and lectured at risk conferences for practitioners on credit derivatives pricing, credit risk modeling, and implementation. Seller Inventory # AAH9780470842911

More information about this seller | Contact this seller

Buy New
US$ 106.27
Convert currency

Add to Basket

Shipping: FREE
From United Kingdom to U.S.A.
Destination, rates & speeds

7.

P.J. Schonbucher
Published by John Wiley and Sons Ltd, United Kingdom (2003)
ISBN 10: 0470842911 ISBN 13: 9780470842911
New Hardcover First Edition Quantity Available: 1
Seller:
The Book Depository
(London, United Kingdom)
Rating
[?]

Book Description John Wiley and Sons Ltd, United Kingdom, 2003. Hardback. Condition: New. 1. Auflage. Language: English . Brand New Book. The credit derivatives market is booming and, for the first time, expanding into the banking sector which previously has had very little exposure to quantitative modeling. This phenomenon has forced a large number of professionals to confront this issue for the first time. Credit Derivatives Pricing Models provides an extremely comprehensive overview of the most current areas in credit risk modeling as applied to the pricing of credit derivatives. As one of the first books to uniquely focus on pricing, this title is also an excellent complement to other books on the application of credit derivatives. Based on proven techniques that have been tested time and again, this comprehensive resource provides readers with the knowledge and guidance to effectively use credit derivatives pricing models. Filled with relevant examples that are applied to real-world pricing problems, Credit Derivatives Pricing Models paves a clear path for a better understanding of this complex issue. Dr. Philipp J. Schonbucher is a professor at the Swiss Federal Institute of Technology (ETH), Zurich, and has degrees in mathematics from Oxford University and a PhD in economics from Bonn University. He has taught various training courses organized by ICM and CIFT, and lectured at risk conferences for practitioners on credit derivatives pricing, credit risk modeling, and implementation. Seller Inventory # AAH9780470842911

More information about this seller | Contact this seller

Buy New
US$ 108.27
Convert currency

Add to Basket

Shipping: FREE
From United Kingdom to U.S.A.
Destination, rates & speeds

8.

Philipp J. Sch?nbucher, P.J. Schonbucher
Published by Wiley (2003)
ISBN 10: 0470842911 ISBN 13: 9780470842911
New Hardcover Quantity Available: 1
Seller:
Ergodebooks
(RICHMOND, TX, U.S.A.)
Rating
[?]

Book Description Wiley, 2003. Hardcover. Condition: New. 1. Seller Inventory # DADAX0470842911

More information about this seller | Contact this seller

Buy New
US$ 104.99
Convert currency

Add to Basket

Shipping: US$ 3.99
Within U.S.A.
Destination, rates & speeds

9.

Philipp J. Schönbucher (author)
Published by Wiley 2003-05-16, Chichester, West Sussex (2003)
ISBN 10: 0470842911 ISBN 13: 9780470842911
New Hardcover Quantity Available: 1
Seller:
Blackwell's
(Oxford, OX, United Kingdom)
Rating
[?]

Book Description Wiley 2003-05-16, Chichester, West Sussex, 2003. hardback. Condition: New. Seller Inventory # 9780470842911

More information about this seller | Contact this seller

Buy New
US$ 106.99
Convert currency

Add to Basket

Shipping: US$ 9.74
From United Kingdom to U.S.A.
Destination, rates & speeds

10.

P.J. Schonbucher
Published by John Wiley and Sons Ltd
ISBN 10: 0470842911 ISBN 13: 9780470842911
New Hardcover Quantity Available: 4
Seller:
THE SAINT BOOKSTORE
(Southport, United Kingdom)
Rating
[?]

Book Description John Wiley and Sons Ltd. Hardback. Condition: New. New copy - Usually dispatched within 2 working days. Seller Inventory # B9780470842911

More information about this seller | Contact this seller

Buy New
US$ 109.81
Convert currency

Add to Basket

Shipping: US$ 9.01
From United Kingdom to U.S.A.
Destination, rates & speeds

There are more copies of this book

View all search results for this book